High-Dimensional Integration (2V+1U, 4.5 LP, AUSL)
|SWS||Type||Course Form||CP (Effort)||Presence-Time / Self-Study|
|-||K||Lecture with exercise classes (V/U)||4.5 CP||93 h|
|1||U||Exercise class (in small groups)||14 h|
|(2V+1U)||4.5 CP||42 h||93 h|
|CP, Effort||4.5 CP = 135 h|
|Position of the semester||1 Sem. irreg.|
|Level|| Master (Advanced)|
+ further Lecturers of the department Mathematics
|Area of study||[MAT-SPAS] Analysis and Stochastics|
|Livecycle-State||[AUSL] Phase-out period|
This course was offered for the last time in the summer semester 2019. It has been replaced by the course [MAT-64-16-K-7] "High-Dimensional Integration: Function Spaces, Algorithms, and Complexity".
Algorithms and Complexity of high and infinite-dimensional integration problems:
- Monte Carlo Method,
- discrepancy of point sequences and quasi Monte Carlo Method,
- lower error bound and complexity of continuous problems,
- curse of dimension,
- quadrature problems for stochastic differential equations.
- E. Novak, H. Wozniakowski: Tractability of Multivariate Problems, Vol. I-III.
Further literature will be announced in the lecture.
Requirements for attendance (informal)
Knowledge on stochastic differential equations is useful, but not necessarily required.
- [MAT-10-1-M-2] Fundamentals of Mathematics (M, 28.0 LP)
- [MAT-14-11-M-3] Introduction to Numerical Methods (M, 9.0 LP)
- [MAT-14-14-M-3] Stochastic Methods (M, 9.0 LP)
- [MAT-60-11-M-4] Probability Theory (M, 9.0 LP)
Requirements for attendance (formal)None
References to Course [MAT-64-15-K-7]
|[MAT-64-15-M-7]||High-Dimensional Integration||P: Obligatory||2V+1U, 4.5 LP, AUSL|